There may be the possibility that you got a CD key for the Windows Live download that was already in use. Another possibility is that you have a previous version of the game installed with an account already created for it and are running that version. A third, I guess, may be that the name you are trying for is already taken.

Also, remember that you can only create one account per original AOE game; the expansions you have installed will be linked to that account.

Are you making the account with the core game, or in one of the expansions? Make sure you like the core AOE3 game first if you're getting that error. You may need to also right click on the shortcut and select "properties" then in the compatibility tab select "Run in compatibility mode for XP SP3" and "Run as Admin".